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Introduction to Multiple Time Series Analysis

By Helmut Lütkepohl

Introduction to Multiple Time Series Analysis

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Description
This graduate level textbook deals with analyzing and forecasting multiple time series. It considers a wide range of multiple time series models and methods. The models include vector autoregressive, vector autoregressive moving average, cointegrated, and periodic processes as well as state space and dynamic simultaneous equations models. Least squares, maximum likelihood, and Bayesian methods are considered for estimating these models. Different procedures for model selection or specification are treated and a range of tests and criteria for evaluating the adequacy of a chosen model are introduced. The choice of point and interval forecasts is considered and impulse response analysis, dynamic multipliers as well as innovation accounting are presented as tools for structural analysis within the multiple time series context. This book is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on this book. Applied researchers involved in analyzing multiple time series may benefit from the book as it provides the background and tools for their task. It enables the reader to perform his or her analyses in a gap to the difficult technical literature on the topic.
Product details
Binding:
Paperback
Edition:
2
Number of Pages:
568
Release Date:
1991-07-31
Publication Date:
1993-08-13
Publisher:
Springer Berlin Heidelberg
Languages:
Original: English
ISBN10:
3540531947
ISBN13:
9783540569404
Weight:
959 g
Height:
170 cm
Width:
242 cm
Thickness:
31 cm
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The items bear minimal signs of past use, such as light scratches or memories in the form of markings. These signs of wear give the items a charming character and tell stories of their previous owners, while not affecting their functionality.
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